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Consumer credit analysis: a VAR/VECM methodology
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O principal objectivo desta dissertação é apresentar uma análise empírica capaz de descrever o canal de crédito do sector privado em Portugal, com foco nas disparidades causadas pela crise de 2008. Para este propósito analisou-se um conjunto de quatro séries temporais, o Produto Interno Bruto (PIB), a taxa Euribor a 3 meses (Euribor), a taxa de inflação (IPC) e o crédito ao consumo do setor privado (CC) entre o primeiro trimestre de 2003 e o último trimestre de 2018. Os dados utilizados foram obtidos no site Pordata. Começa-se com o estudo da estacionaridade das séries temporais e a significância das mesmas, seguido pela implementação do modelo VEC para responder a várias questões. Posteriormente será feita uma análise da função Impulso-resposta para o modelo estimado mais apropriado para avaliar o efeito de um impulso (ou choque) na série temporal. O principal interesse no uso desses modelos é a possibilidade de separar os componentes endógenos e exógenas da política monetária para estudar a dinâmica das séries temporais a longo prazo e medir a resposta das variáveis a choques inesperados.
The main objective of this dissertation is to present an empirical analysis that is able to describe the credit channel for households in Portugal, focusing on the disparities caused by the 2008 crisis. For this purpose, it was analysed a set of four times series including GDP (GDP), 3 months Euribor rate (EURIBOR), Inflation Rate (CPI) and Households Consumer Credit (CC) between the first quarter of 2003 to the last quarter to 2018. The data used was taken from Pordata website. The subject in question begins with the study of the stationarity of the time series and the significance of the same followed by the implementation of the VEC model to answer several questions around this topic. It will be done an Impulse response function analysis for the most appropriate estimated model to assess the effect of an impulse (or shock) to the time series. The main interest in the use of these models is the possibility of separate the endogenous and exogenous components of monetary policy to study the dynamic of time series in the long-term and measuring the response of variables to unexpected shocks.
The main objective of this dissertation is to present an empirical analysis that is able to describe the credit channel for households in Portugal, focusing on the disparities caused by the 2008 crisis. For this purpose, it was analysed a set of four times series including GDP (GDP), 3 months Euribor rate (EURIBOR), Inflation Rate (CPI) and Households Consumer Credit (CC) between the first quarter of 2003 to the last quarter to 2018. The data used was taken from Pordata website. The subject in question begins with the study of the stationarity of the time series and the significance of the same followed by the implementation of the VEC model to answer several questions around this topic. It will be done an Impulse response function analysis for the most appropriate estimated model to assess the effect of an impulse (or shock) to the time series. The main interest in the use of these models is the possibility of separate the endogenous and exogenous components of monetary policy to study the dynamic of time series in the long-term and measuring the response of variables to unexpected shocks.
Descrição
Tese de mestrado, Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2019
Palavras-chave
Séries Temporais Crédito ao Consumo VAR VECM Teses de mestrado - 2019